Signal Analysis Dashboard

seasonality_equity_allanalysed 2026-05-26

Core Scenario Analysis

  Full History In Sample Out Sample GFC Regime 0 Regime 1 1 day lag Short only Long only
start date 2000-05-19 2000-05-19 2020-01-03 2008-08-29 2000-12-08 2000-05-19 2000-05-19 2000-05-19 2000-05-19
end date 2026-05-15 2019-12-27 2026-05-15 2009-08-28 2026-05-15 2026-03-27 2026-05-15 2026-05-15 2026-05-15
annualized return 8.38% 9.32% 5.54% -3.79% 12.42% 3.26% 8.41% -4.61% 11.54%
annualized std 8.69% 9.30% 6.46% 13.03% 8.88% 8.39% 8.34% 14.74% 14.99%
information ratio 0.970 1.005 0.866 -0.233 1.364 0.424 1.010 -0.247 0.805
max drawdown -18.85% -18.85% -9.41% -11.29% -9.40% -18.45% -19.01% -87.30% -53.70%
mdd start date 2005-09-23 2005-09-23 2021-10-01 2008-08-29 2007-06-29 2005-10-07 2005-09-23 2003-02-28 2007-10-19
mdd end date 2006-08-18 2006-08-18 2022-06-24 2009-04-17 2007-12-07 2008-11-28 2006-08-18 2026-04-10 2009-02-27
mdd length 47 47 38 33 23 50 47 1206 71
recovery length 202 202 47 35 160 193 184
rec to drawdown 4.298 4.298 1.237 1.522 3.200 4.106 2.592
up periods 55.27% 55.86% 53.45% 49.06% 56.48% 53.68% 55.49% 43.92% 58.29%
down periods 44.73% 44.14% 46.55% 50.94% 43.52% 46.32% 44.44% 56.08% 41.71%
positive streak 10 10 10 4 9 11 13 10 13
negative streak 8 7 8 6 7 9 7 13 8
turnover annual (%) 1850.27 1911.40 1656.84 1829.33 2367.12 2511.19 1850.27 930.09 920.17
datapoints 1357 1024 333 53 772 585 1357 1357 1357
p value 0.0000 0.0000 0.0291 0.8148 0.0000 0.1552 0.0000 0.2073 0.0000
t test 5pct pass pass pass fail pass fail pass fail pass

Return Charts

Parameter Sensitivity

Annualised Information Ratio

period_forward 5 6 7 8 9 10 11 12 13 14 15
period_back                      
17 0.799 0.779 0.849 0.894 0.919 0.947 0.945 0.928 0.906 0.905 0.899
18 0.794 0.786 0.857 0.879 0.890 0.926 0.918 0.893 0.871 0.872 0.861
19 0.804 0.823 0.899 0.910 0.914 0.940 0.927 0.891 0.874 0.863 0.854
20 0.857 0.858 0.925 0.927 0.935 0.954 0.948 0.901 0.877 0.869 0.865
21 0.891 0.894 0.956 0.951 0.945 0.970 0.952 0.910 0.873 0.868 0.860
22 0.925 0.916 0.968 0.957 0.962 0.970 0.954 0.903 0.868 0.858 0.856
23 0.943 0.930 0.981 0.964 0.951 0.938 0.927 0.883 0.852 0.847 0.841
24 0.898 0.892 0.925 0.917 0.906 0.901 0.900 0.860 0.832 0.817 0.809
25 0.937 0.922 0.943 0.934 0.924 0.914 0.901 0.857 0.818 0.792 0.769
26 0.927 0.905 0.925 0.913 0.909 0.900 0.879 0.829 0.781 0.762 0.744
27 0.969 0.934 0.956 0.945 0.939 0.925 0.903 0.828 0.779 0.761 0.749

Annualised Return (%)

period_forward 5 6 7 8 9 10 11 12 13 14 15
period_back                      
17 7.874 7.358 7.800 7.932 7.867 7.817 7.530 7.085 6.603 6.321 5.995
18 7.777 7.396 7.858 7.805 7.620 7.669 7.334 6.849 6.400 6.136 5.777
19 7.959 7.863 8.373 8.212 7.966 7.904 7.525 6.951 6.531 6.197 5.860
20 8.604 8.297 8.716 8.469 8.268 8.146 7.822 7.137 6.664 6.355 6.068
21 8.987 8.697 9.053 8.715 8.373 8.291 7.864 7.215 6.663 6.385 6.071
22 9.354 8.951 9.242 8.842 8.608 8.378 7.949 7.235 6.686 6.367 6.095
23 9.646 9.165 9.435 8.949 8.546 8.124 7.753 7.124 6.600 6.325 6.023
24 9.174 8.793 8.912 8.537 8.179 7.859 7.600 7.019 6.522 6.167 5.866
25 9.610 9.113 9.096 8.734 8.378 8.037 7.691 7.070 6.489 6.052 5.637
26 9.481 8.925 8.879 8.503 8.220 7.913 7.497 6.847 6.191 5.823 5.461
27 9.927 9.239 9.236 8.859 8.531 8.155 7.722 6.843 6.211 5.848 5.550

Annualised Std (%)

period_forward 5 6 7 8 9 10 11 12 13 14 15
period_back                      
17 10.132 9.727 9.368 9.000 8.650 8.317 8.026 7.703 7.361 7.046 6.730
18 10.081 9.679 9.340 9.016 8.679 8.365 8.071 7.757 7.439 7.118 6.794
19 10.180 9.789 9.450 9.131 8.818 8.481 8.194 7.899 7.574 7.274 6.954
20 10.252 9.864 9.527 9.232 8.932 8.597 8.316 8.011 7.698 7.406 7.100
21 10.258 9.878 9.544 9.236 8.933 8.601 8.319 8.015 7.730 7.454 7.151
22 10.243 9.899 9.615 9.311 9.006 8.692 8.390 8.101 7.808 7.524 7.214
23 10.339 9.971 9.675 9.354 9.053 8.736 8.441 8.177 7.872 7.582 7.273
24 10.381 10.021 9.743 9.417 9.141 8.838 8.545 8.291 7.982 7.687 7.386
25 10.373 10.010 9.736 9.444 9.161 8.889 8.643 8.386 8.093 7.804 7.503
26 10.351 10.003 9.705 9.430 9.150 8.908 8.652 8.414 8.120 7.833 7.533
27 10.327 10.001 9.745 9.462 9.170 8.911 8.654 8.421 8.161 7.879 7.595

Max Drawdown (%)

period_forward 5 6 7 8 9 10 11 12 13 14 15
period_back                      
17 -18.312 -16.292 -15.951 -15.874 -15.823 -15.877 -16.076 -16.313 -16.717 -15.702 -15.046
18 -20.444 -17.920 -16.520 -17.333 -18.143 -16.194 -16.344 -16.543 -16.822 -15.965 -14.745
19 -22.835 -18.186 -18.349 -18.609 -19.475 -18.034 -18.252 -18.262 -18.209 -17.197 -15.717
20 -21.459 -17.956 -17.759 -18.008 -18.585 -17.971 -17.809 -17.735 -17.598 -16.392 -15.146
21 -22.023 -18.459 -17.269 -17.154 -18.139 -18.026 -18.352 -18.001 -17.830 -16.399 -15.363
22 -20.537 -18.109 -18.576 -18.300 -18.715 -18.855 -18.588 -18.262 -17.702 -16.133 -14.834
23 -20.865 -18.979 -19.539 -19.922 -19.786 -19.833 -19.500 -18.721 -18.108 -16.773 -15.515
24 -21.196 -19.096 -20.225 -20.289 -20.482 -19.315 -18.913 -18.373 -17.688 -16.028 -14.989
25 -20.338 -18.688 -19.537 -19.670 -19.639 -19.204 -18.732 -18.167 -17.389 -15.894 -14.838
26 -20.648 -18.493 -18.900 -19.339 -19.625 -19.845 -19.466 -18.816 -17.839 -16.102 -15.011
27 -20.481 -18.108 -18.916 -19.002 -19.551 -19.886 -19.623 -18.960 -18.104 -16.508 -15.363

P-Value

period_forward 5 6 7 8 9 10 11 12 13 14 15
period_back                      
17 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
18 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
19 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
21 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
22 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
23 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
24 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
25 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
26 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
27 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000

Weight & Return Contributions

  avg_weight last_weight annual_return_contrib pct_of_total_return time_long_pct time_short_pct time_active_pct win_ratio
label                
australia 0.002 0.000 0.33% 3.80% 35.37% 27.71% 63.08% 51.87%
austria 0.003 0.000 -0.14% -1.62% 15.40% 11.94% 27.34% 49.87%
belgium -0.005 0.022 0.13% 1.47% 17.91% 22.62% 40.53% 49.64%
canada -0.001 0.000 0.05% 0.62% 27.41% 28.89% 56.30% 48.82%
denmark -0.003 0.038 0.20% 2.33% 19.16% 23.58% 42.74% 51.55%
finland -0.002 0.000 -0.05% -0.55% 21.81% 20.19% 42.00% 51.23%
france -0.005 -0.021 0.04% 0.50% 20.12% 22.92% 43.04% 49.49%
germany -0.001 -0.042 0.10% 1.14% 29.55% 29.70% 59.25% 50.37%
hong_kong -0.006 0.000 -0.18% -2.12% 36.18% 39.06% 75.24% 49.76%
ireland 0.000 0.000 0.00% 0.00% 0.00% 0.00% 0.00%
israel 0.001 0.055 -0.28% -3.28% 14.37% 10.02% 24.39% 48.64%
italy 0.002 0.000 -0.17% -1.98% 21.22% 12.97% 34.19% 49.14%
japan -0.002 0.038 0.77% 8.96% 37.58% 42.23% 79.81% 51.99%
netherlands -0.003 0.000 -0.21% -2.48% 18.28% 21.59% 39.87% 47.87%
new_zealand -0.000 0.033 0.04% 0.50% 18.50% 15.84% 34.34% 50.43%
norway -0.002 0.047 0.13% 1.46% 28.96% 28.67% 57.63% 52.05%
portugal 0.003 0.023 -0.03% -0.31% 26.09% 17.83% 43.92% 50.67%
singapore -0.003 0.051 0.35% 4.04% 26.60% 31.47% 58.07% 51.65%
spain 0.002 -0.146 -0.11% -1.23% 34.12% 33.53% 67.65% 49.56%
sweden -0.005 0.000 0.00% 0.06% 26.01% 32.35% 58.36% 48.48%
switzerland -0.001 0.000 -0.02% -0.23% 32.50% 29.18% 61.68% 49.58%
united_kingdom -0.001 0.000 -0.03% -0.32% 33.24% 27.63% 60.87% 50.00%
united_states -0.008 0.044 0.06% 0.71% 25.87% 40.01% 65.88% 49.22%
brazil 0.001 0.000 0.47% 5.49% 33.31% 30.95% 64.26% 52.41%
chile 0.001 -0.138 0.22% 2.60% 13.49% 12.60% 26.09% 53.11%
china 0.002 0.020 0.79% 9.10% 41.05% 41.49% 82.54% 52.77%
colombia -0.000 -0.077 0.18% 2.03% 5.08% 4.27% 9.36% 51.97%
czech_republic 0.001 -0.134 0.12% 1.40% 33.46% 28.08% 61.53% 49.82%
egypt 0.001 0.017 -0.35% -4.09% 31.54% 27.63% 59.17% 49.32%
greece 0.006 0.000 0.16% 1.85% 15.84% 10.39% 26.23% 53.93%
hungary 0.007 0.000 0.39% 4.56% 21.30% 17.46% 38.76% 51.14%
india 0.008 0.052 0.87% 10.05% 42.59% 42.45% 85.04% 52.43%
indonesia -0.000 0.038 0.45% 5.16% 40.01% 40.01% 80.03% 50.74%
korea_south -0.004 0.085 0.55% 6.33% 27.41% 29.92% 57.33% 51.54%
kuwait 0.000 0.000 0.00% 0.00% 0.00% 0.00% 0.00%
malaysia 0.013 0.000 0.27% 3.15% 42.00% 34.71% 76.71% 51.30%
mexico -0.001 -0.107 -0.07% -0.77% 32.79% 34.05% 66.84% 49.17%
philippines 0.003 0.000 0.42% 4.86% 35.96% 40.31% 76.27% 49.18%
poland -0.004 -0.016 0.31% 3.56% 25.87% 29.55% 55.42% 50.93%
qatar -0.001 0.000 -0.02% -0.25% 2.73% 2.73% 5.45% 45.95%
saudi_arabia 0.004 -0.124 1.29% 14.96% 43.33% 44.51% 87.84% 51.59%
south_africa -0.000 0.000 0.13% 1.51% 13.85% 16.21% 30.07% 48.53%
taiwan -0.000 0.018 0.88% 10.23% 35.22% 36.18% 71.41% 52.32%
thailand -0.000 0.065 -0.25% -2.87% 34.71% 36.70% 71.41% 49.95%
turkey 0.005 0.060 0.86% 9.97% 42.74% 39.65% 82.39% 52.24%
uae -0.004 0.065 -0.03% -0.31% 16.58% 16.58% 33.16% 50.67%
equity_dm -0.036 0.143 1.10% 12.77% 44.29% 55.71% 100.00% 51.07%
equity_em 0.034 -0.177 7.33% 84.82% 55.71% 44.29% 100.00% 55.34%
APAC 0.012 0.401 5.28% 61.09% 51.29% 48.71% 100.00% 54.31%
Americas -0.009 -0.278 0.73% 8.43% 44.36% 55.12% 99.48% 50.74%
EMEA -0.005 -0.157 2.42% 28.07% 49.08% 50.92% 100.00% 52.84%

Ex-Country Sensitivity Analysis

  start date end date annualized return annualized std information ratio max drawdown mdd start date mdd end date mdd length recovery length rec to drawdown up periods down periods positive streak negative streak turnover annual (%) datapoints p value t test 5pct
ex-australia 2000-05-19 2026-05-15 8.50% 9.13% 0.939 -21.24% 2005-09-23 2009-04-17 186 82 0.441 54.38% 45.62% 10 8 1889.24 1357 0.0000 pass
ex-austria 2000-05-19 2026-05-15 8.57% 8.78% 0.981 -19.36% 2005-09-23 2006-08-18 47 202 4.298 55.12% 44.88% 12 7 1880.08 1357 0.0000 pass
ex-belgium 2000-05-19 2026-05-15 8.74% 8.98% 0.979 -19.58% 2005-09-23 2006-08-18 47 218 4.638 55.27% 44.73% 12 8 1896.70 1357 0.0000 pass
ex-canada 2000-05-19 2026-05-15 8.74% 8.99% 0.977 -19.36% 2005-09-23 2006-08-18 47 218 4.638 54.75% 45.25% 12 8 1895.54 1357 0.0000 pass
ex-denmark 2000-05-19 2026-05-15 8.52% 8.87% 0.967 -19.37% 2005-09-23 2006-08-18 47 202 4.298 54.61% 45.39% 10 7 1891.00 1357 0.0000 pass
ex-finland 2000-05-19 2026-05-15 8.45% 8.90% 0.957 -19.35% 2005-09-23 2006-08-18 47 202 4.298 55.78% 44.22% 12 8 1892.87 1357 0.0000 pass
ex-france 2000-05-19 2026-05-15 8.54% 8.90% 0.965 -19.44% 2005-09-23 2006-06-02 36 205 5.694 55.27% 44.73% 10 8 1894.12 1357 0.0000 pass
ex-germany 2000-05-19 2026-05-15 8.26% 8.85% 0.942 -19.87% 2005-09-23 2006-06-02 36 216 6.000 54.75% 45.25% 10 8 1892.98 1357 0.0000 pass
ex-hong_kong 2000-05-19 2026-05-15 8.41% 9.02% 0.941 -20.71% 2005-09-23 2006-08-18 47 221 4.702 54.46% 45.54% 10 11 1894.30 1357 0.0000 pass
ex-ireland 2000-05-19 2026-05-15 8.40% 8.71% 0.970 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.27% 44.73% 10 8 1855.15 1357 0.0000 pass
ex-israel 2000-05-19 2026-05-15 8.46% 8.76% 0.971 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.20% 44.80% 10 8 1876.53 1357 0.0000 pass
ex-italy 2000-05-19 2026-05-15 8.77% 8.90% 0.989 -19.45% 2005-09-23 2006-08-18 47 200 4.255 55.42% 44.58% 10 7 1893.02 1357 0.0000 pass
ex-japan 2000-05-19 2026-05-15 7.68% 9.00% 0.867 -18.49% 2005-09-23 2006-08-18 47 221 4.702 53.94% 46.06% 10 8 1887.92 1357 0.0000 pass
ex-netherlands 2000-05-19 2026-05-15 8.67% 8.96% 0.974 -19.27% 2005-09-23 2006-06-02 36 205 5.694 55.20% 44.80% 10 7 1895.42 1357 0.0000 pass
ex-new_zealand 2000-05-19 2026-05-15 8.60% 8.86% 0.976 -18.93% 2005-09-23 2006-08-18 47 197 4.191 54.97% 45.03% 12 7 1888.40 1357 0.0000 pass
ex-norway 2000-05-19 2026-05-15 8.23% 9.03% 0.921 -22.20% 2005-09-23 2009-02-27 179 96 0.536 54.16% 45.84% 10 7 1895.34 1357 0.0000 pass
ex-portugal 2000-05-19 2026-05-15 8.50% 8.82% 0.969 -19.57% 2005-09-23 2006-08-18 47 202 4.298 55.64% 44.36% 10 7 1891.56 1357 0.0000 pass
ex-singapore 2000-05-19 2026-05-15 8.54% 9.01% 0.956 -19.20% 2005-09-23 2006-06-09 37 207 5.595 54.75% 45.25% 12 11 1893.59 1357 0.0000 pass
ex-spain 2000-05-19 2026-05-15 8.57% 8.91% 0.968 -19.80% 2005-09-23 2009-04-17 186 83 0.446 55.42% 44.58% 10 7 1890.64 1357 0.0000 pass
ex-sweden 2000-05-19 2026-05-15 8.71% 8.84% 0.990 -19.23% 2005-09-23 2006-06-02 36 208 5.778 54.97% 45.03% 10 8 1893.16 1357 0.0000 pass
ex-switzerland 2000-05-19 2026-05-15 8.61% 9.05% 0.959 -19.45% 2005-09-23 2006-06-02 36 211 5.861 55.34% 44.66% 10 8 1889.32 1357 0.0000 pass
ex-united_kingdom 2000-05-19 2026-05-15 8.44% 9.03% 0.943 -20.10% 2005-09-23 2006-08-18 47 205 4.362 55.78% 44.22% 10 8 1890.92 1357 0.0000 pass
ex-united_states 2000-05-19 2026-05-15 8.45% 9.06% 0.942 -21.50% 2005-09-23 2009-04-17 186 82 0.441 54.83% 45.17% 12 8 1891.26 1357 0.0000 pass
ex-brazil 2000-05-19 2026-05-15 8.15% 8.94% 0.922 -20.98% 2005-09-23 2009-04-17 186 82 0.441 54.38% 45.62% 12 7 1892.16 1357 0.0000 pass
ex-chile 2000-05-19 2026-05-15 8.38% 8.74% 0.965 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.27% 44.73% 10 7 1874.02 1357 0.0000 pass
ex-china 2000-05-19 2026-05-15 8.71% 8.83% 0.990 -16.33% 2005-09-23 2006-06-02 36 178 4.944 53.87% 46.13% 10 8 1901.88 1357 0.0000 pass
ex-colombia 2000-05-19 2026-05-15 8.35% 8.72% 0.963 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.34% 44.66% 10 8 1865.41 1357 0.0000 pass
ex-czech_republic 2000-05-19 2026-05-15 8.64% 8.97% 0.969 -22.80% 2005-09-23 2006-06-02 36 211 5.861 55.27% 44.73% 12 10 1893.88 1357 0.0000 pass
ex-egypt 2000-05-19 2026-05-15 8.99% 8.80% 1.023 -19.10% 2005-09-23 2006-08-18 47 192 4.085 55.05% 44.95% 10 8 1892.69 1357 0.0000 pass
ex-greece 2000-05-19 2026-05-15 8.36% 8.76% 0.961 -18.85% 2005-09-23 2006-08-18 47 200 4.255 55.05% 44.95% 10 8 1872.46 1357 0.0000 pass
ex-hungary 2000-05-19 2026-05-15 8.19% 8.83% 0.936 -19.22% 2005-09-23 2006-08-18 47 202 4.298 54.46% 45.54% 10 7 1879.21 1357 0.0000 pass
ex-india 2000-05-19 2026-05-15 7.85% 8.87% 0.897 -18.93% 2005-09-23 2006-08-18 47 197 4.191 54.61% 45.39% 9 7 1891.52 1357 0.0000 pass
ex-indonesia 2000-05-19 2026-05-15 8.18% 8.84% 0.934 -19.45% 2005-09-23 2006-06-02 36 216 6.000 55.20% 44.80% 10 6 1888.46 1357 0.0000 pass
ex-korea_south 2000-05-19 2026-05-15 8.34% 8.96% 0.939 -19.61% 2005-09-23 2006-06-02 36 208 5.778 54.97% 45.03% 10 8 1893.98 1357 0.0000 pass
ex-kuwait 2000-05-19 2026-05-15 8.43% 8.73% 0.971 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.27% 44.73% 10 8 1862.99 1357 0.0000 pass
ex-malaysia 2000-05-19 2026-05-15 8.40% 9.02% 0.940 -23.95% 2005-09-23 2009-04-17 186 89 0.478 55.78% 44.22% 12 8 1873.58 1357 0.0000 pass
ex-mexico 2000-05-19 2026-05-15 8.71% 9.00% 0.973 -19.32% 2005-09-23 2006-08-18 47 200 4.255 54.97% 45.03% 10 7 1889.23 1357 0.0000 pass
ex-philippines 2000-05-19 2026-05-15 8.79% 8.95% 0.986 -17.91% 2005-09-23 2009-04-17 186 63 0.339 54.61% 45.39% 12 8 1888.62 1357 0.0000 pass
ex-poland 2000-05-19 2026-05-15 8.38% 8.95% 0.945 -20.42% 2005-06-17 2009-04-17 200 82 0.410 54.24% 45.76% 10 8 1888.42 1357 0.0000 pass
ex-qatar 2000-05-19 2026-05-15 8.41% 8.73% 0.969 -18.85% 2005-09-23 2006-08-18 47 202 4.298 55.20% 44.80% 10 8 1861.55 1357 0.0000 pass
ex-saudi_arabia 2000-05-19 2026-05-15 7.13% 8.65% 0.839 -13.35% 2021-10-01 2022-06-24 38 57 1.500 54.90% 45.10% 10 10 1898.96 1357 0.0000 pass
ex-south_africa 2000-05-19 2026-05-15 8.40% 8.82% 0.959 -19.26% 2005-09-23 2006-08-18 47 202 4.298 55.20% 44.80% 12 8 1881.94 1357 0.0000 pass
ex-taiwan 2000-05-19 2026-05-15 8.49% 8.93% 0.958 -19.37% 2005-09-23 2006-08-18 47 194 4.128 54.68% 45.32% 10 8 1891.68 1357 0.0000 pass
ex-thailand 2000-05-19 2026-05-15 8.88% 8.90% 1.001 -19.21% 2005-09-23 2006-06-02 36 205 5.694 54.97% 45.03% 10 7 1883.73 1357 0.0000 pass
ex-turkey 2000-05-19 2026-05-15 8.14% 8.84% 0.930 -18.64% 2005-09-23 2009-05-15 190 75 0.395 54.24% 45.76% 12 8 1904.24 1357 0.0000 pass
ex-uae 2000-05-19 2026-05-15 8.52% 8.75% 0.978 -18.85% 2005-09-23 2006-08-18 47 200 4.255 55.34% 44.66% 12 8 1876.40 1357 0.0000 pass

Relationships

Pearson Correlation Kendall Correlation Beta
MSCI World -0.014 -0.016 -0.010
MSCI ACWI 0.017 -0.022 0.009
US Agg -0.022 -0.034 -0.044
WTI Crude -0.014 0.018 -0.003
VIX 0.002 0.021 0.000
DXY 0.015 0.023 0.017
S&P500 -0.034 -0.046 -0.016

Appendix - Regime Classification

Further details on the regime classification approach can be found here